Well the "box" cabs like # 1212 below would have pulled the passenger trains in & out of Grand Central Station after it was rebuilt and the tracks dropped below Park Avenue and covered over.

If it was Penn Station the passenger trains would have been pulled by the tuscan red GG1's like below.

But if it was steam then Noodels and the gang may have been going to The Lackawana Terminal in Hoboken which looked more like the terminal in the film but hardly likely but if you read the captions you could catch a train to Buffalo from there . But then again you could also from Grand Central Terminal see below:

The coffee stirring scene also introduces the audience to Max's throne. In Sir Christopher Frayling's book Something To Do With Death, Frayling hints that the idea of the throne may have been invented by Leone. This is incorrect. The throne is the book The Hoods - chapter 44 p.420.

...a throne, a royal relic of some sort. I examined it more closely. The keynote of the carved design was the royal flag of Rumania which appeared among icons and all sorts of royal insignia and armorial bearings.

“It used to belong to a baron, an old time Rumanian baron, hundreds of years ago.” I repeated, “How did you get it?” “How I got it?” Max asked with a superior smile. “How do I get everything I want? By the muscle...

Was it possible that excesses with a degenerate woman could weaken a man mentally? I had heard a man could develop softening of the brain by that sort of perversion. And was this thronelike chair one of the manifestations of his delusions of grandeur?

The throne gets a slightly different treatment in the film:

NOODLESWhat's this?

MAXIt's a throne. It was a gift to a pope. Cost me 800 bucks.

CAROLIt's from the 17th century.

NOODLESSo, what are you doing with it?

MAXI'm sitting on it.

The throne is one of the first signs that Max is losing it / becoming a megalomaniac.